我国商业银行贷款损失拨备计提方法有效性分析

发布时间：2017-12-30 18:49

本文关键词：我国商业银行贷款损失拨备计提方法有效性分析　出处：《山西财经大学》2015年硕士论文　论文类型：学位论文

【摘要】：贷款损失拨备作为商业银行风险管理的重要工具，是弥补预期损失的首要防线，危机后诸多研究表明，贷款损失拨备的不足加深了危机的影响程度，，因此国外活跃银行开始进一步完善拨备管理制度。自1988年我国拨备制度建立后，经过了不断的发展与完善。各大商行现行的基于现金流折现法的拨备计提虽然有所改进，但依然不完全有效。本文在国内外贷款损失拨备理论研究的基础上运用面板数据实证分析我国商业银行的贷款损失拨备计提方法的有效性，并得出各上市商业银行的贷款损失拨备不能有效的反映出信贷资产的真是质量，不具有逆周期调节的作用，同时具有很强的亲周期性。而当前国外先进银行采取的前瞻性拨备计提方法可以有效的缓解贷款损失拨备的亲周期性，同时可以起到逆周期调节的作用，尤其是西班牙的动态拨备法在前瞻性和逆周期调节方面较为有效。本文在借鉴西班牙动态拨备规则经验的基础上提出的信贷总量动态拨备模型较为适合我国商业银行的实际情况。并在论述分析我国商行拨备实际计提情况的基础上对监管机构和商业银行给出了相应的建议以提高贷款损失拨备计提的有效性。
[Abstract]:As an important tool of commercial bank risk management, loan loss provision is the first line of defense to compensate for the expected loss. Many studies after the crisis show that the lack of loan loss provision deepens the impact of the crisis. Therefore, foreign active banks began to further improve the provisions management system. Since 1988, after the establishment of the reserve system in China, it has been continuously developed and perfected. The current provisions based on the discounted cash flow method have been improved. However, it is still not completely effective. Based on the theoretical research of loan loss provision at home and abroad, this paper empirically analyzes the validity of the loan loss provision method of Chinese commercial banks by using panel data. And it is concluded that the loan loss provisions of listed commercial banks can not effectively reflect the real quality of credit assets, and do not have the role of countercyclical adjustment. At the same time has a strong pro-cyclical. And the current foreign advanced banks adopted forward-looking provisions can effectively alleviate the pro-cyclical loan loss provisions, and can play the role of countercyclical adjustment. In particular, the dynamic provisioning method in Spain is more effective in prospective and countercyclical regulation. This paper presents a dynamic reserve model for credit volume based on the experience of Spanish dynamic provision rules, which is more suitable for business in China. On the basis of discussing and analyzing the actual provisions of commercial banks in China, this paper gives corresponding suggestions to the regulators and commercial banks in order to improve the effectiveness of the provisions for loan losses.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.4;F224

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